An omega portfolio model with dynamic return thresholds-Reference-Cited by-同舟云学术

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An omega portfolio model with dynamic return thresholds

Published:2022-04-28 Issue:5 Volume:30 Page:2528-2545
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Int Trans Operational Res

Author:

Yu Jing‐Rung¹,Chiou Wan‐Jiun Paul²^ORCID,Lee Wen‐Yi³

Affiliation:

1. Department of Information Management National Chi‐Nan University Nantou Taiwan

2. Finance Group D'Amore‐McKim School of Business Northeastern University Boston MA USA

3. Department of Information Management National Taipei University of Business Taipei Taiwan

Funder

Ministry of Science and Technology, Taiwan

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/itor.13153

Reference49 articles.

1. A Close Look at Short Selling on Nasdaq

2. Multi‐asset portfolio optimization with transaction cost

3. Avouyi‐Dovi S. Morin S. Neto D. 2004.Optimal asset allocation with Omega function. Technical report Banque de France.

4. Omega ratio optimization with actuarial and financial applications

5. Optimal strategies under Omega ratio

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure;International Transactions in Operational Research;2023-01-02

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